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The relationship between Asian equity and commodity futures markets
16 references·1 citing·44 second hop
The relationship between Asian equity and commodity futures markets (2013)The relationship between Asian equity and…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…New evidence on oil price and firm returns (2011)New evidence on oil price and…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Volatility transmission between oil prices and equity sector returns (2009)Volatility transmission betwe…Return and volatility spillovers among the East Asian equity markets (2009)Return and volatility spillov…Modelling the impact of oil prices on Vietnam’s stock prices (2009)Modelling the impact of oil p…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Is Gold a Hedge or a Safe Hav…Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?Modelling oil price volatility (2007)Modelling oil price volatilityShock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…Gold as a hedge against the dollar (2005)Gold as a hedge against the d…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Sources of risk and expected returns in global equity markets (1994)Sources of risk and expected …Price Movements and Price Discovery in Futures and Cash Markets (1983)Price Movements and Price Dis…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model (2019)Exploring the dynamic effects…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Dynamic Conditional Correlation (2002)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)A Retrospective on the Classical Gold Standard, 1821-1931 (1984)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)From Principles of Political Economy (2005)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)The Interest Rate Parity Theorem: A Reinterpretation (1973)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)The relationship between return and market value of common stocks (1981)The Structure of Corporate Ownership: Causes and Consequences (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)COVID-19 lockdowns, stimulus packages, travel bans, and stock returns (2020)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)Rational contagion and the globalization of securities markets (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Oil Prices and the Stock Market (2012)Forecasting Stock Returns (2013)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,707 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 2008Striking oil: Another puzzle?616 cited
  • 2005Gold as a hedge against the dollar572 cited
  • 2011New evidence on oil price and firm returns534 cited
  • 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
  • 2009Modelling the impact of oil prices on Vietnam’s stock prices385 cited
  • 2009Volatility transmission between oil prices and equity sector returns352 cited
  • 1994Sources of risk and expected returns in global equity markets331 cited
  • 2007Modelling oil price volatility281 cited

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  • 2009Return and volatility spillovers among the East Asian equity markets256 cited
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    • 2019Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model55 cited